Essays about: "Covariance matrix"

Showing result 26 - 30 of 55 essays containing the words Covariance matrix.

  1. 26. Displacement Analysis of a Geodetic Network : A case study of the Vasa warship

    University essay from Högskolan Väst/Avdelningen för data-, elektro- och lantmäteriteknik

    Author : Filippa Johansson; Lenita Karlsson; [2017]
    Keywords : ;

    Abstract : By measuring coordinates repeatedly in time we can detect movements of an area or an object by establishing and monitoring a geodetic network. Since it is known that the Vasa warship is suffering from decomposition, a geodetic network has been established around the ship to monitor its deformation. READ MORE

  3. 27. An alternative approach for solving the problem of close to singular covariance matrices in modern portfolio theory

    University essay from Lunds universitet/Statistiska institutionen

    Author : Martin Claeson; [2017]
    Keywords : global minimum variance portfolio; singular covariance matrix; sector index portfolio; Business and Economics; Mathematics and Statistics;

    Abstract : In this thesis the effects of utilizing the sample covariance matrix in the estimation of the global minimum variance (GMV) portfolio are presented. When the number of assets, N, are close to the number of observations, T, the sample covariance matrix approaches singularity, leading to a lot of uncertainties in form of estimation error. READ MORE

  4. 28. Efficient Risk Factor Allocation with Regime Based Models

    University essay from Lunds universitet/Matematisk statistik

    Author : Oscar Axelsson; [2017]
    Keywords : Risk Factors; Hidden Markov Models; Regime Models; Asset Allocation; Ecient Frontier; Shrinkage Factor; Baum-Welch Algorithm; EM algorithm.; Mathematics and Statistics;

    Abstract : It is widely accepted that nancial mark behaviour is characterized by periodicity. However, in academia and practice financial markets are often modeled as time consistent, resulting in static investment strategies that are assumed to be ecient. READ MORE

  5. 29. An Empirical Investigation of the Merits of a Class of Analytically Tractable Matern Covariance Structures in Spatial Data Analysis

    University essay from Högskolan Dalarna/Mikrodataanalys

    Author : Ross May; [2017]
    Keywords : ;

    Abstract : I investigate, using the R package spaMM, the effect of misspecification of the smoothing parameter, Q, of the Matern covariance structure on the mean part of hierarchical generalised linear models (HGLMs) with spatially correlated Gaussian Matern random effects. In particular, by restricting Q to the set {0.5, 1.5, 2. READ MORE

  6. 30. Beating the MSCI USA Index by Using Other Weighting Techniques

    University essay from KTH/Matematisk statistik

    Author : Trotte Boman; Samuel Jangenstål; [2017]
    Keywords : ;

    Abstract : In this thesis various portfolio weighting strategies are tested. Their performance is determined by their average annual return, Sharpe ratio, tracking error, information ratio and annual standard deviation. READ MORE